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Title: State-dependent monetary policy regimes Authors:  Shayan Zakipour-Saber - Queen Mary University (United Kingdom) [presenting]
Abstract: The aim is to uncover the determinants of monetary policy regime shifts by estimating a general equilibrium model in which parameters of a Taylor-type policy rule follow a Markov process. Typically, in this class of model commonly referred to as MSDSGE, the variable that determines the current regime in place is assumed to follow an exogenous Markov process. In contrast to the existing literature, we estimate an MSDSGE model allowing endogenous variables such as the first lag of inflation, output and contemporaneous economic shocks to directly influence which regime will be in place. We then apply Bayesian model comparison techniques to test if the data accepts this modification and to determine which variable or combination of variables influences monetary policy regime shifts.